TY - JOUR
T1 - Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
AU - Liu, Chang
AU - Li, Jianping
AU - Sun, Xiaolei
AU - Chen, Jianming
N1 - Publisher Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2021
Y1 - 2021
N2 - This article examined the multi-scale correlations between Turkish lira exchange rates and sovereign credit default swap (CDS) in Turkey, Europe, and Asia by implementing a combined quantile regression (QR) and wavelet approach. The results showed that a severe depreciation of the lira will increase the sovereign risk in Turkey at different time scales. In addition, the results revealed stronger and quicker responses from Asia’s sovereign CDS than Europe’s to the shocks of the lira, which provides important implications for Asian countries and especially Asian emerging markets to prevent external risk contagion and guide the domestic monetary policy.
AB - This article examined the multi-scale correlations between Turkish lira exchange rates and sovereign credit default swap (CDS) in Turkey, Europe, and Asia by implementing a combined quantile regression (QR) and wavelet approach. The results showed that a severe depreciation of the lira will increase the sovereign risk in Turkey at different time scales. In addition, the results revealed stronger and quicker responses from Asia’s sovereign CDS than Europe’s to the shocks of the lira, which provides important implications for Asian countries and especially Asian emerging markets to prevent external risk contagion and guide the domestic monetary policy.
KW - granger causality test
KW - quantile regression
KW - sovereign CDS
KW - Turkish lira exchange rates
KW - wavelet decomposition
UR - https://www.scopus.com/pages/publications/85085048744
U2 - 10.1080/13504851.2020.1765961
DO - 10.1080/13504851.2020.1765961
M3 - 文章
AN - SCOPUS:85085048744
SN - 1350-4851
VL - 28
SP - 599
EP - 607
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 7
ER -